Asymmetric information about volatility: how does it affect implied volatility, option prices and market liquidity?

DOI10.1023/A:1009674204212zbMATH Open1274.91432OpenAlexW1511846049MaRDI QIDQ375487FDOQ375487

Saikat Nandi

Publication date: 30 October 2013

Published in: Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/a:1009674204212

zbMATH Keywords

asymmetric informationBlack-Scholes modelimplied volatility

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Economics of information (91B44)

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